Multiple Anchor Point Shrinkage for the Sample Covariance Matrix

DOI10.1137/21M1446411OpenAlexW4292958791MaRDI QIDQ5868799

Alec Norton, Hubeyb Gurdogan

Publication date: 23 September 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1446411

zbMATH Keywords

shrinkagecovariance matrix estimationminimum variance portfolio

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• High dimensional covariance matrix estimation using a factor model
• Covariance regularization by thresholding
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Shrinkage estimation
• Asymptotics of empirical eigenstructure for high dimensional spiked covariance
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Data Analysis Using Stein's Estimator and its Generalizations
• The Dispersion Bias
• Geometric Representation of High Dimension, Low Sample Size Data
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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